Ondata thread

Hi Li Cheng,
 

1. Both The variables will be the same because OnData and the consolidator updates run in the same thread. Have you experienced a different result in practice?
2. The OnData method is the last method to be executed when multiple events occur at the same time. Refer to the following thread for more information.

Moving forward, we recommend using self.CurrentSlice attribute to access the current tick data for the latest tick.
Best,
Varad Kabade

Hi Varad, thanks for answering my question! You've given me an extremely valuable insight into how to access the latest tick, since I'm a novice at tick data algorithms, I was not aware that I can use self.CurrentSlice to reference the most recent tick at that point in time. 

If I have a universe of 5 stocks in my algorithm, do I reference the latest tick for “SPY” as self.CurrentSlice["SPY"].LastPrice?

Hi Li Cheng ,

The algorithm manager saves the reference of the Slice object that will be used to call OnData as CurrentSlice before firing scheduled events or any other task (like data consolidation). You just need to replace `self.data` for `selt.CurrentSlice` in your code.
 

Hi Alex, thanks so much for your addition to this thread! 

Can I clarify with you guys about what I understood from your replies? 

Assume universe resolution is tick and data is consolidated into minute bars. At 15:30:00, we receive a consolidated minute bar. In the consolidated bar handler, assume we have a ton of calculations with history calls, causing the algorithm to have to run a chunk of code that uses up 15 microseconds of time. After running the aforementioned chunk of code, the current time is 15:30:00:15, the algorithm attempts to reference the current tick prices. 

What I'm understanding is, at this point self.data will contain the tick price at 15:29:59:99, whereas self.CurrentSlice will contain the tick price at 15:30:00:14. Am I correct? 

And if I'm wrong, which means that I misunderstood Varad's reply as well, how do I get the tick price at 15:30:00:14?

Hi Li Cheng,
The above summary is incorrect. While the algorithm is busy in the consolidator handler, there will not be another slice object, so CurrentSlice is still the same object in OnData.
Best,
Varad Kabade

Hi Varad, 

Thanks for clarifying that. Is there any way that I can get the tick price at 15:30:00:14? (Based on the example that I gave)

Hi Li Cheng,Yes, we recommend adding the code snippet in the Update method of consolidator. 

if self.symbol not in self.CurrentSlice.Ticks: 
         return 
for tick in self.CurrentSlice.Ticks[symbol]:
    if tick.EndTime.time() == time(15,30,00,14):
        self.Log(f'{tick.EndTime} : {tick}')

Before that we need to import: 

from datetime import datetime, time

Note that the above time need not be exact we can check for a given window too.Best,Varad Kabade